Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0366
Annualized Std Dev 0.3168
Annualized Sharpe (Rf=0%) 0.1154

Row

Daily Return Statistics

Close
Observations 5565.0000
NAs 1.0000
Minimum -0.1916
Quartile 1 -0.0085
Median 0.0006
Arithmetic Mean 0.0003
Geometric Mean 0.0001
Quartile 3 0.0100
Maximum 0.1329
SE Mean 0.0003
LCL Mean (0.95) -0.0002
UCL Mean (0.95) 0.0009
Variance 0.0004
Stdev 0.0200
Skewness -0.2409
Kurtosis 7.1814

Downside Risk

Close
Semi Deviation 0.0144
Gain Deviation 0.0140
Loss Deviation 0.0154
Downside Deviation (MAR=210%) 0.0188
Downside Deviation (Rf=0%) 0.0143
Downside Deviation (0%) 0.0143
Maximum Drawdown 0.7993
Historical VaR (95%) -0.0306
Historical ES (95%) -0.0483
Modified VaR (95%) -0.0309
Modified ES (95%) -0.0546
From Trough To Depth Length To Trough Recovery
2000-03-06 2002-10-09 2007-04-27 -0.7993 1775 634 1141
2007-07-13 2009-03-05 2020-11-24 -0.7063 3368 415 2953
1999-01-08 1999-03-24 1999-04-26 -0.1071 73 52 21
1999-08-24 1999-10-18 1999-10-29 -0.0974 48 39 9
2007-05-08 2007-06-12 2007-07-06 -0.0875 42 25 17

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
1999 0.6 -3.1 2.2 -1.5 1.6 0 1.7 2.3 0.8 -0.3 -0.5 0 3.7
2000 3.7 2.9 2.1 -0.6 0.2 2 -2.3 1.5 0.3 -1.5 5.5 -0.3 14
2001 0.6 -1.8 0 2.2 -2.3 0.4 0.5 -3.1 -4.1 1.2 1.1 -0.6 -5.9
2002 0 2 2.4 0.2 -0.4 1.4 -1.9 -0.5 0.5 2.2 1.3 0 7.3
2003 -0.8 0.1 1.7 -0.4 0.7 0.6 0.7 -1 0.7 -2.2 2.6 0.8 3.5
2004 1.6 0.9 3.2 0.5 -1.5 -1.4 0.3 1.1 1.1 0.5 0.1 -0.4 6
2005 1.7 0.2 0.2 1.5 -0.8 -0.4 0.8 0.9 0.1 -0.3 2.3 -0.2 6.3
2006 -0.2 1.1 -1.4 -0.5 1.7 1.2 -1.2 0.5 -0.6 0.5 0.2 0.6 1.7
2007 -0.1 -1.7 0.4 0 0.7 0 0.1 1.7 1.3 -2.7 -0.4 -1.5 -2.4
2008 2.5 -2.2 3 1 -0.3 -0.7 -1.1 -2.1 -1.2 -0.8 -11.9 0.2 -13.5
2009 -0.8 1 6.5 1.3 5.1 3.3 4.5 -4.6 -3.7 -3.7 2.7 -0.8 10.7
2010 4.3 1 3.2 -1.7 -0.7 1.3 0.6 5.5 0 -0.3 3.4 0.7 18.6
2011 1.1 -1.5 0.9 0 -2.3 1.1 -2.4 -1.5 -4.6 -5 -1.5 0.4 -14.4
2012 2.8 0.6 2.5 0.5 -3 6.1 -0.4 1.5 0.5 0.9 0.6 1.8 15.1
2013 2.2 0.9 -0.5 -0.5 -2.6 1.6 -0.1 -1.5 1.5 -1.1 -0.1 0.3 0.2
2014 -1.1 0.8 1.3 -0.1 -0.1 0.7 -0.5 0 -1.6 0.7 -0.2 -1.5 -1.6
2015 -0.6 1.2 -0.1 0.5 -0.2 1.2 0.6 -2.2 -0.5 0 0.5 -1.4 -1.1
2016 -0.7 2.1 0.1 -0.8 -0.2 0.4 -1 0.6 1.1 -0.4 -0.3 0.2 1.3
2017 0.6 1.4 0.3 0.8 0.8 0.5 0.7 0.3 0.8 -0.4 -0.4 -0.2 5.2
2018 0.9 -1.3 2.1 -0.7 1.2 1.5 -0.2 -0.7 -0.3 1.5 -0.2 1.5 5.4
2019 0.2 0.6 2.2 -0.9 -2.1 0.8 -0.2 1.3 -1.5 1.4 -0.7 0.1 1.1
2020 -1.3 0 -5.5 -2.8 2.1 1.1 -2.5 -0.4 1.2 0 2.3 -1 -6.9
2021 1.5 2.5 0 NA NA NA NA NA NA NA NA NA 4

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Price Chart

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Rolling Performance Chart

Row

Snail Trail Chart